GARCH Approach for Testing the Conditional Relationship between Risk and Return in the Jordanian Stock Market
Bibliographic record
Abstract
This study aims to test the relationship between risk and return in Amman Stock Exchange (ASE), in order to identify the market's ability to reward investors who are willing to take on additional risk. Using daily return for the Market Capitalization Weighted Price Index of the Jordanian stock market for the period from the first trading day on year 2000 to the last trading day of the year 2013. The full period has been separated into two periods: before the global financial crisis (BGFC) and during the global financial crisis (DGFC), to show if there is any impact of the financial crisis on the relationship between the risk and return. The GARCH model has been employed after testing for normality, heteroscedasticity and stationary, all of which have concluded the preference of using the GARCH model approach. Results have concluded that the conditional relationship between risk and return at the FULL period did not support the trade-off- theory, where there has been no statistically significant effect of risk, measured by volatility, on the market return during the FULL period, nor in the Before Global Financial Crisis (BGFC) period. This result of the study supports the results of studies which concluded that the ASE is not efficient at the semi-strong level of efficiency.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.008 | 0.011 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".